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Goodness-of-fit Tests for Linear and Non-linear Time Series Models

Author

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  • Juan Carlos Escanciano

    (School of Economics and Business Administration, University of Navarra)

Abstract

In this article we study a general class of goodness-of-fit tests for the conditional mean of a linear or nonlinear time series model. Among the properties of the proposed tests are that they are suitable when the conditioning set is infinite-dimensional; are consistent against a broad class of alternatives including Pitman's local alternatives converging at the parametric rate; and do not need to choose a lag order depending on the sample size or to smooth the data. It turns out that the asymptotic null distributions of the tests depend on the data generating process, so a new bootstrap procedure is proposed and theoretically justified. The proposed bootstrap tests are robust to higher order dependence, in particular to conditional heteroskedasticity of unknown form. A simulation study compares the finite sample performance of the proposed and competing tests and shows that our tests can play a valuable role in time series modeling. Finally, an application to an economic price series highlights the merits of our approach.

Suggested Citation

  • Juan Carlos Escanciano, 2005. "Goodness-of-fit Tests for Linear and Non-linear Time Series Models," Faculty Working Papers 02/05, School of Economics and Business Administration, University of Navarra.
    • Handle: RePEc:una:unccee:wp0205
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    References listed on IDEAS

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    1. repec:cte:wsrepe:ws035312 is not listed on IDEAS
    2. Yongmiao Hong & Yoon-Jin Lee, 2005. "Generalized Spectral Tests for Conditional Mean Models in Time Series with Conditional Heteroscedasticity of Unknown Form," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(2), pages 499-541.
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    8. Pena D. & Rodriguez J., 2002. "A Powerful Portmanteau Test of Lack of Fit for Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 97, pages 601-610, June.
    9. Juan Carlos Escanciano, 2004. "Model Checks Using Residual Marked Empirical Processes," Faculty Working Papers 13/04, School of Economics and Business Administration, University of Navarra.
    10. Hong, Yongmiao & Lee, Tae-Hwy, 2003. "Diagnostic Checking For The Adequacy Of Nonlinear Time Series Models," Econometric Theory, Cambridge University Press, vol. 19(6), pages 1065-1121, December.
    11. Efstathios Paparoditis, 2000. "Spectral Density Based Goodness‐of‐Fit Tests for Time Series Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 27(1), pages 143-176, March.
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    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General

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